In this paper, we develop and numerically solve a model of idiosyncratic labour income and idiosyncratic interest rates to predict the evolution of a wealth distribution over time. Stochastic labour income follows a deterministic growth trend and it fluctuates between a wage and unemployment...

Labour income follows a deterministic growth trend and fluctuates between two values. Interest rates are drawn initially, fluctuate between two values and can differ in their arrival rates. Low interest rates imply a stationary long-run wealth distribution, high interest rates imply exploding...

Labour income follows a deterministic growth trend and fluctuates between two values. Interest rates are drawn initially, fluctuate between two values and can differ in their arrival rates. Low interest rates imply a stationary long-run wealth distribution, high interest rates imply exploding...

We develop a general equilibrium model of earnings, income and wealth heterogeneity in continuous time. We extend existing analytical and numerical methods to solve the model. We calibrate the model to U.S. data and find that stochastic interest rates provide a mechanism to link earnings, income...

We develop a general equilibrium model of earnings, income and wealth heterogeneity in continuous time. We extend existing analytical and numerical methods to solve the model. We calibrate the model to U.S. data and find that stochastic interest rates provide a mechanism to link earnings, income...

In this paper, we develop and numerically solve a model of idiosyncratic labour income and idiosyncratic interest rates to predict the evolution of a wealth distribution over time. Stochastic labour income follows a deterministic growth trend and it fluctuates between a wage and unemployment...

In the present paper, I derive the law of motion for the aggregate distribution directly from the laws of motion for the individuals' states. By relying on concepts from measure theory, the derivation is concise and intuitive. I address random shocks both at the micro level and at the macro...

We study the statistical properties of heterogeneous agent models. Using aBewley-Hugget-Aiyagari model we compute the density function of wealth and in-come and use it for likelihood inference. We study the finite sample properties of themaximum likelihood estimator (MLE) using Monte Carlo...

In this paper, we study the statistical properties of heterogeneous agent models with incomplete markets. Using a Bewley-Hugget-Aiyagari model we compute the equilibrium density function of wealth and show how it can be used for likelihood inference. We investigate the identifiability of the...